Ok, this code is working:

      Dim Erreur As String
      Dim ID As String
      Dim MotDePasse As String
      Dim loWebService As WebServiceClient.WebServiceMethod = New WebServiceClient.WebServiceMethod
      loWebService.CookieContainer = New System.Net.CookieContainer
      loWebService.Credentials = New Net.NetworkCredential("username", "password")
      loWebService.MyMethod(Erreur, "00000", "username", "password", ID, MotDePasse)
      MessageBox.Show(Erreur)
      MessageBox.Show(ID)
      MessageBox.Show(MotDePasse)

However, I am trying to execute the same code but with a MSSOAP approach. So, I tried this:

      Dim Erreur As String
      Dim ID As String
      Dim MotDePasse As String
      Dim loWebService As Object
      loWebService = CreateObject("MSSOAP.SoapClient")
      loWebService.MSSoapInit("https://username:password@www.domain.com/WebService.asmx?wsdl")
      loWebService.MyMethod(Erreur, "00000", "username", "password", ID, MotDePasse)
      MessageBox.Show(Erreur)
      MessageBox.Show(ID)
      MessageBox.Show(MotDePasse)

However, when I run this approach, I have an exception on the server. I need to know what I am missing to have this approach to work as well.